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        Ridge Regression
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    <h2 id="岭回归简介">岭回归简介</h2>
<p>普通最小二乘法（Ordinary Least Square, OLS）的估计量表达式为：</p>
<p class='katex-block'><span class="katex-display"><span class="katex"><span class="katex-mathml"><math xmlns="http://www.w3.org/1998/Math/MathML"><semantics><mrow><msub><mi>β</mi><mrow><mi>O</mi><mi>L</mi><mi>S</mi></mrow></msub><mo>=</mo><mo stretchy="false">(</mo><msup><mi>X</mi><mi>T</mi></msup><mi>X</mi><msup><mo stretchy="false">)</mo><mrow><mo>−</mo><mn>1</mn></mrow></msup><msup><mi>X</mi><mi>T</mi></msup><mi>y</mi><mi mathvariant="normal">.</mi></mrow><annotation encoding="application/x-tex">\beta_{OLS} = (X^{T}X)^{-1}X^{T}y. 
</annotation></semantics></math></span><span class="katex-html" aria-hidden="true"><span class="base"><span class="strut" style="height:0.8888799999999999em;vertical-align:-0.19444em;"></span><span class="mord"><span class="mord mathdefault" style="margin-right:0.05278em;">β</span><span class="msupsub"><span class="vlist-t vlist-t2"><span class="vlist-r"><span class="vlist" style="height:0.32833099999999993em;"><span style="top:-2.5500000000000003em;margin-left:-0.05278em;margin-right:0.05em;"><span class="pstrut" style="height:2.7em;"></span><span class="sizing reset-size6 size3 mtight"><span class="mord mtight"><span class="mord mathdefault mtight" style="margin-right:0.02778em;">O</span><span class="mord mathdefault mtight">L</span><span class="mord mathdefault mtight" style="margin-right:0.05764em;">S</span></span></span></span></span><span class="vlist-s">​</span></span><span class="vlist-r"><span class="vlist" style="height:0.15em;"><span></span></span></span></span></span></span><span class="mspace" style="margin-right:0.2777777777777778em;"></span><span class="mrel">=</span><span class="mspace" style="margin-right:0.2777777777777778em;"></span></span><span class="base"><span class="strut" style="height:1.1413309999999999em;vertical-align:-0.25em;"></span><span class="mopen">(</span><span class="mord"><span class="mord mathdefault" style="margin-right:0.07847em;">X</span><span class="msupsub"><span class="vlist-t"><span class="vlist-r"><span class="vlist" style="height:0.8913309999999999em;"><span style="top:-3.113em;margin-right:0.05em;"><span class="pstrut" style="height:2.7em;"></span><span class="sizing reset-size6 size3 mtight"><span class="mord mtight"><span class="mord mathdefault mtight" style="margin-right:0.13889em;">T</span></span></span></span></span></span></span></span></span><span class="mord mathdefault" style="margin-right:0.07847em;">X</span><span class="mclose"><span class="mclose">)</span><span class="msupsub"><span class="vlist-t"><span class="vlist-r"><span class="vlist" style="height:0.864108em;"><span style="top:-3.113em;margin-right:0.05em;"><span class="pstrut" style="height:2.7em;"></span><span class="sizing reset-size6 size3 mtight"><span class="mord mtight"><span class="mord mtight">−</span><span class="mord mtight">1</span></span></span></span></span></span></span></span></span><span class="mord"><span class="mord mathdefault" style="margin-right:0.07847em;">X</span><span class="msupsub"><span class="vlist-t"><span class="vlist-r"><span class="vlist" style="height:0.8913309999999999em;"><span style="top:-3.113em;margin-right:0.05em;"><span class="pstrut" style="height:2.7em;"></span><span class="sizing reset-size6 size3 mtight"><span class="mord mtight"><span class="mord mathdefault mtight" style="margin-right:0.13889em;">T</span></span></span></span></span></span></span></span></span><span class="mord mathdefault" style="margin-right:0.03588em;">y</span><span class="mord">.</span></span></span></span></span></p>
<p>当 <span class="katex"><span class="katex-mathml"><math xmlns="http://www.w3.org/1998/Math/MathML"><semantics><mrow><msup><mi>X</mi><mi>T</mi></msup><mi>X</mi></mrow><annotation encoding="application/x-tex">X^{T}X</annotation></semantics></math></span><span class="katex-html" aria-hidden="true"><span class="base"><span class="strut" style="height:0.8413309999999999em;vertical-align:0em;"></span><span class="mord"><span class="mord mathdefault" style="margin-right:0.07847em;">X</span><span class="msupsub"><span class="vlist-t"><span class="vlist-r"><span class="vlist" style="height:0.8413309999999999em;"><span style="top:-3.063em;margin-right:0.05em;"><span class="pstrut" style="height:2.7em;"></span><span class="sizing reset-size6 size3 mtight"><span class="mord mtight"><span class="mord mathdefault mtight" style="margin-right:0.13889em;">T</span></span></span></span></span></span></span></span></span><span class="mord mathdefault" style="margin-right:0.07847em;">X</span></span></span></span> 矩阵近似不可逆，或者说<span class="katex"><span class="katex-mathml"><math xmlns="http://www.w3.org/1998/Math/MathML"><semantics><mrow><mi>X</mi></mrow><annotation encoding="application/x-tex">X</annotation></semantics></math></span><span class="katex-html" aria-hidden="true"><span class="base"><span class="strut" style="height:0.68333em;vertical-align:0em;"></span><span class="mord mathdefault" style="margin-right:0.07847em;">X</span></span></span></span>非列满秩即 <span class="katex"><span class="katex-mathml"><math xmlns="http://www.w3.org/1998/Math/MathML"><semantics><mrow><mi>r</mi><mi>a</mi><mi>n</mi><mi>k</mi><mo stretchy="false">(</mo><mi>X</mi><mo stretchy="false">)</mo><mo>&lt;</mo><mi>p</mi></mrow><annotation encoding="application/x-tex">rank(X) &lt; p</annotation></semantics></math></span><span class="katex-html" aria-hidden="true"><span class="base"><span class="strut" style="height:1em;vertical-align:-0.25em;"></span><span class="mord mathdefault" style="margin-right:0.02778em;">r</span><span class="mord mathdefault">a</span><span class="mord mathdefault">n</span><span class="mord mathdefault" style="margin-right:0.03148em;">k</span><span class="mopen">(</span><span class="mord mathdefault" style="margin-right:0.07847em;">X</span><span class="mclose">)</span><span class="mspace" style="margin-right:0.2777777777777778em;"></span><span class="mrel">&lt;</span><span class="mspace" style="margin-right:0.2777777777777778em;"></span></span><span class="base"><span class="strut" style="height:0.625em;vertical-align:-0.19444em;"></span><span class="mord mathdefault">p</span></span></span></span> 时，OLS估计量的方差将会变得非常大，严重估计的结果。岭回归的出现，为解决这一情况提供一种方法，通过放弃最小二乘估计量的无偏性，来换取较小的估计方差。下面介绍岭回归的相关内容。</p>
<h2 id="岭估计量">岭估计量</h2>
<p>岭估计量是具有显式表达式的，岭估计量 <span class="katex"><span class="katex-mathml"><math xmlns="http://www.w3.org/1998/Math/MathML"><semantics><mrow><msub><mi>β</mi><mrow><mi>r</mi><mi>i</mi><mi>d</mi><mi>g</mi><mi>e</mi></mrow></msub></mrow><annotation encoding="application/x-tex">\beta_{ridge}</annotation></semantics></math></span><span class="katex-html" aria-hidden="true"><span class="base"><span class="strut" style="height:0.980548em;vertical-align:-0.286108em;"></span><span class="mord"><span class="mord mathdefault" style="margin-right:0.05278em;">β</span><span class="msupsub"><span class="vlist-t vlist-t2"><span class="vlist-r"><span class="vlist" style="height:0.3361079999999999em;"><span style="top:-2.5500000000000003em;margin-left:-0.05278em;margin-right:0.05em;"><span class="pstrut" style="height:2.7em;"></span><span class="sizing reset-size6 size3 mtight"><span class="mord mtight"><span class="mord mathdefault mtight" style="margin-right:0.02778em;">r</span><span class="mord mathdefault mtight">i</span><span class="mord mathdefault mtight">d</span><span class="mord mathdefault mtight" style="margin-right:0.03588em;">g</span><span class="mord mathdefault mtight">e</span></span></span></span></span><span class="vlist-s">​</span></span><span class="vlist-r"><span class="vlist" style="height:0.286108em;"><span></span></span></span></span></span></span></span></span></span> 的定义为：</p>
<p class='katex-block'><span class="katex-display"><span class="katex"><span class="katex-mathml"><math xmlns="http://www.w3.org/1998/Math/MathML"><semantics><mrow><msub><mi>β</mi><mrow><mi>r</mi><mi>i</mi><mi>d</mi><mi>g</mi><mi>e</mi></mrow></msub><mo>=</mo><mo stretchy="false">(</mo><msup><mi>X</mi><mi>T</mi></msup><mi>X</mi><mo>+</mo><mi>k</mi><mi>I</mi><msup><mo stretchy="false">)</mo><mrow><mo>−</mo><mn>1</mn></mrow></msup><msup><mi>X</mi><mi>T</mi></msup><mi>y</mi><mi mathvariant="normal">.</mi></mrow><annotation encoding="application/x-tex">\beta_{ridge} = (X^{T}X + kI)^{-1}X^{T}y.
</annotation></semantics></math></span><span class="katex-html" aria-hidden="true"><span class="base"><span class="strut" style="height:0.980548em;vertical-align:-0.286108em;"></span><span class="mord"><span class="mord mathdefault" style="margin-right:0.05278em;">β</span><span class="msupsub"><span class="vlist-t vlist-t2"><span class="vlist-r"><span class="vlist" style="height:0.3361079999999999em;"><span style="top:-2.5500000000000003em;margin-left:-0.05278em;margin-right:0.05em;"><span class="pstrut" style="height:2.7em;"></span><span class="sizing reset-size6 size3 mtight"><span class="mord mtight"><span class="mord mathdefault mtight" style="margin-right:0.02778em;">r</span><span class="mord mathdefault mtight">i</span><span class="mord mathdefault mtight">d</span><span class="mord mathdefault mtight" style="margin-right:0.03588em;">g</span><span class="mord mathdefault mtight">e</span></span></span></span></span><span class="vlist-s">​</span></span><span class="vlist-r"><span class="vlist" style="height:0.286108em;"><span></span></span></span></span></span></span><span class="mspace" style="margin-right:0.2777777777777778em;"></span><span class="mrel">=</span><span class="mspace" style="margin-right:0.2777777777777778em;"></span></span><span class="base"><span class="strut" style="height:1.1413309999999999em;vertical-align:-0.25em;"></span><span class="mopen">(</span><span class="mord"><span class="mord mathdefault" style="margin-right:0.07847em;">X</span><span class="msupsub"><span class="vlist-t"><span class="vlist-r"><span class="vlist" style="height:0.8913309999999999em;"><span style="top:-3.113em;margin-right:0.05em;"><span class="pstrut" style="height:2.7em;"></span><span class="sizing reset-size6 size3 mtight"><span class="mord mtight"><span class="mord mathdefault mtight" style="margin-right:0.13889em;">T</span></span></span></span></span></span></span></span></span><span class="mord mathdefault" style="margin-right:0.07847em;">X</span><span class="mspace" style="margin-right:0.2222222222222222em;"></span><span class="mbin">+</span><span class="mspace" style="margin-right:0.2222222222222222em;"></span></span><span class="base"><span class="strut" style="height:1.1413309999999999em;vertical-align:-0.25em;"></span><span class="mord mathdefault" style="margin-right:0.03148em;">k</span><span class="mord mathdefault" style="margin-right:0.07847em;">I</span><span class="mclose"><span class="mclose">)</span><span class="msupsub"><span class="vlist-t"><span class="vlist-r"><span class="vlist" style="height:0.864108em;"><span style="top:-3.113em;margin-right:0.05em;"><span class="pstrut" style="height:2.7em;"></span><span class="sizing reset-size6 size3 mtight"><span class="mord mtight"><span class="mord mtight">−</span><span class="mord mtight">1</span></span></span></span></span></span></span></span></span><span class="mord"><span class="mord mathdefault" style="margin-right:0.07847em;">X</span><span class="msupsub"><span class="vlist-t"><span class="vlist-r"><span class="vlist" style="height:0.8913309999999999em;"><span style="top:-3.113em;margin-right:0.05em;"><span class="pstrut" style="height:2.7em;"></span><span class="sizing reset-size6 size3 mtight"><span class="mord mtight"><span class="mord mathdefault mtight" style="margin-right:0.13889em;">T</span></span></span></span></span></span></span></span></span><span class="mord mathdefault" style="margin-right:0.03588em;">y</span><span class="mord">.</span></span></span></span></span></p>
<h2 id="岭估计量的性质">岭估计量的性质</h2>
<p><strong>统计性质：</strong></p>
<ul>
<li>均值向量：<span class="katex"><span class="katex-mathml"><math xmlns="http://www.w3.org/1998/Math/MathML"><semantics><mrow><mi>E</mi><mo stretchy="false">(</mo><msub><mi>β</mi><mrow><mi>r</mi><mi>i</mi><mi>d</mi><mi>g</mi><mi>e</mi></mrow></msub><mo stretchy="false">)</mo><mo>=</mo><mi>β</mi><mo>−</mo><mi>k</mi><msub><mi>G</mi><mi>k</mi></msub><mi>β</mi><mi mathvariant="normal">.</mi></mrow><annotation encoding="application/x-tex">E(\beta_{ridge}) = \beta - kG_{k}\beta.</annotation></semantics></math></span><span class="katex-html" aria-hidden="true"><span class="base"><span class="strut" style="height:1.036108em;vertical-align:-0.286108em;"></span><span class="mord mathdefault" style="margin-right:0.05764em;">E</span><span class="mopen">(</span><span class="mord"><span class="mord mathdefault" style="margin-right:0.05278em;">β</span><span class="msupsub"><span class="vlist-t vlist-t2"><span class="vlist-r"><span class="vlist" style="height:0.3361079999999999em;"><span style="top:-2.5500000000000003em;margin-left:-0.05278em;margin-right:0.05em;"><span class="pstrut" style="height:2.7em;"></span><span class="sizing reset-size6 size3 mtight"><span class="mord mtight"><span class="mord mathdefault mtight" style="margin-right:0.02778em;">r</span><span class="mord mathdefault mtight">i</span><span class="mord mathdefault mtight">d</span><span class="mord mathdefault mtight" style="margin-right:0.03588em;">g</span><span class="mord mathdefault mtight">e</span></span></span></span></span><span class="vlist-s">​</span></span><span class="vlist-r"><span class="vlist" style="height:0.286108em;"><span></span></span></span></span></span></span><span class="mclose">)</span><span class="mspace" style="margin-right:0.2777777777777778em;"></span><span class="mrel">=</span><span class="mspace" style="margin-right:0.2777777777777778em;"></span></span><span class="base"><span class="strut" style="height:0.8888799999999999em;vertical-align:-0.19444em;"></span><span class="mord mathdefault" style="margin-right:0.05278em;">β</span><span class="mspace" style="margin-right:0.2222222222222222em;"></span><span class="mbin">−</span><span class="mspace" style="margin-right:0.2222222222222222em;"></span></span><span class="base"><span class="strut" style="height:0.8888799999999999em;vertical-align:-0.19444em;"></span><span class="mord mathdefault" style="margin-right:0.03148em;">k</span><span class="mord"><span class="mord mathdefault">G</span><span class="msupsub"><span class="vlist-t vlist-t2"><span class="vlist-r"><span class="vlist" style="height:0.33610799999999996em;"><span style="top:-2.5500000000000003em;margin-left:0em;margin-right:0.05em;"><span class="pstrut" style="height:2.7em;"></span><span class="sizing reset-size6 size3 mtight"><span class="mord mtight"><span class="mord mathdefault mtight" style="margin-right:0.03148em;">k</span></span></span></span></span><span class="vlist-s">​</span></span><span class="vlist-r"><span class="vlist" style="height:0.15em;"><span></span></span></span></span></span></span><span class="mord mathdefault" style="margin-right:0.05278em;">β</span><span class="mord">.</span></span></span></span></li>
<li>偏差向量：<span class="katex"><span class="katex-mathml"><math xmlns="http://www.w3.org/1998/Math/MathML"><semantics><mrow><mi>B</mi><mi>i</mi><mi>a</mi><mi>s</mi><mo stretchy="false">(</mo><msub><mi>β</mi><mrow><mi>r</mi><mi>i</mi><mi>d</mi><mi>g</mi><mi>e</mi></mrow></msub><mo separator="true">,</mo><mi>β</mi><mo stretchy="false">)</mo><mo>=</mo><mo>−</mo><mi>k</mi><msub><mi>G</mi><mi>k</mi></msub><mi>β</mi><mi mathvariant="normal">.</mi></mrow><annotation encoding="application/x-tex">Bias(\beta_{ridge}, \beta) = -kG_{k}\beta.</annotation></semantics></math></span><span class="katex-html" aria-hidden="true"><span class="base"><span class="strut" style="height:1.036108em;vertical-align:-0.286108em;"></span><span class="mord mathdefault" style="margin-right:0.05017em;">B</span><span class="mord mathdefault">i</span><span class="mord mathdefault">a</span><span class="mord mathdefault">s</span><span class="mopen">(</span><span class="mord"><span class="mord mathdefault" style="margin-right:0.05278em;">β</span><span class="msupsub"><span class="vlist-t vlist-t2"><span class="vlist-r"><span class="vlist" style="height:0.3361079999999999em;"><span style="top:-2.5500000000000003em;margin-left:-0.05278em;margin-right:0.05em;"><span class="pstrut" style="height:2.7em;"></span><span class="sizing reset-size6 size3 mtight"><span class="mord mtight"><span class="mord mathdefault mtight" style="margin-right:0.02778em;">r</span><span class="mord mathdefault mtight">i</span><span class="mord mathdefault mtight">d</span><span class="mord mathdefault mtight" style="margin-right:0.03588em;">g</span><span class="mord mathdefault mtight">e</span></span></span></span></span><span class="vlist-s">​</span></span><span class="vlist-r"><span class="vlist" style="height:0.286108em;"><span></span></span></span></span></span></span><span class="mpunct">,</span><span class="mspace" style="margin-right:0.16666666666666666em;"></span><span class="mord mathdefault" style="margin-right:0.05278em;">β</span><span class="mclose">)</span><span class="mspace" style="margin-right:0.2777777777777778em;"></span><span class="mrel">=</span><span class="mspace" style="margin-right:0.2777777777777778em;"></span></span><span class="base"><span class="strut" style="height:0.8888799999999999em;vertical-align:-0.19444em;"></span><span class="mord">−</span><span class="mord mathdefault" style="margin-right:0.03148em;">k</span><span class="mord"><span class="mord mathdefault">G</span><span class="msupsub"><span class="vlist-t vlist-t2"><span class="vlist-r"><span class="vlist" style="height:0.33610799999999996em;"><span style="top:-2.5500000000000003em;margin-left:0em;margin-right:0.05em;"><span class="pstrut" style="height:2.7em;"></span><span class="sizing reset-size6 size3 mtight"><span class="mord mtight"><span class="mord mathdefault mtight" style="margin-right:0.03148em;">k</span></span></span></span></span><span class="vlist-s">​</span></span><span class="vlist-r"><span class="vlist" style="height:0.15em;"><span></span></span></span></span></span></span><span class="mord mathdefault" style="margin-right:0.05278em;">β</span><span class="mord">.</span></span></span></span></li>
<li>协方差矩阵：<span class="katex"><span class="katex-mathml"><math xmlns="http://www.w3.org/1998/Math/MathML"><semantics><mrow><mi>V</mi><mo stretchy="false">(</mo><msub><mi>β</mi><mrow><mi>r</mi><mi>i</mi><mi>d</mi><mi>g</mi><mi>e</mi></mrow></msub><mo stretchy="false">)</mo><mo>=</mo><msup><mi>σ</mi><mn>2</mn></msup><msub><mi>G</mi><mi>k</mi></msub><msup><mi>X</mi><mi>T</mi></msup><mi>X</mi><msub><mi>G</mi><mi>k</mi></msub><mi mathvariant="normal">.</mi></mrow><annotation encoding="application/x-tex">V(\beta_{ridge}) = \sigma^{2}G_{k}X^{T}XG_{k}.</annotation></semantics></math></span><span class="katex-html" aria-hidden="true"><span class="base"><span class="strut" style="height:1.036108em;vertical-align:-0.286108em;"></span><span class="mord mathdefault" style="margin-right:0.22222em;">V</span><span class="mopen">(</span><span class="mord"><span class="mord mathdefault" style="margin-right:0.05278em;">β</span><span class="msupsub"><span class="vlist-t vlist-t2"><span class="vlist-r"><span class="vlist" style="height:0.3361079999999999em;"><span style="top:-2.5500000000000003em;margin-left:-0.05278em;margin-right:0.05em;"><span class="pstrut" style="height:2.7em;"></span><span class="sizing reset-size6 size3 mtight"><span class="mord mtight"><span class="mord mathdefault mtight" style="margin-right:0.02778em;">r</span><span class="mord mathdefault mtight">i</span><span class="mord mathdefault mtight">d</span><span class="mord mathdefault mtight" style="margin-right:0.03588em;">g</span><span class="mord mathdefault mtight">e</span></span></span></span></span><span class="vlist-s">​</span></span><span class="vlist-r"><span class="vlist" style="height:0.286108em;"><span></span></span></span></span></span></span><span class="mclose">)</span><span class="mspace" style="margin-right:0.2777777777777778em;"></span><span class="mrel">=</span><span class="mspace" style="margin-right:0.2777777777777778em;"></span></span><span class="base"><span class="strut" style="height:0.991331em;vertical-align:-0.15em;"></span><span class="mord"><span class="mord mathdefault" style="margin-right:0.03588em;">σ</span><span class="msupsub"><span class="vlist-t"><span class="vlist-r"><span class="vlist" style="height:0.8141079999999999em;"><span style="top:-3.063em;margin-right:0.05em;"><span class="pstrut" style="height:2.7em;"></span><span class="sizing reset-size6 size3 mtight"><span class="mord mtight"><span class="mord mtight">2</span></span></span></span></span></span></span></span></span><span class="mord"><span class="mord mathdefault">G</span><span class="msupsub"><span class="vlist-t vlist-t2"><span class="vlist-r"><span class="vlist" style="height:0.33610799999999996em;"><span style="top:-2.5500000000000003em;margin-left:0em;margin-right:0.05em;"><span class="pstrut" style="height:2.7em;"></span><span class="sizing reset-size6 size3 mtight"><span class="mord mtight"><span class="mord mathdefault mtight" style="margin-right:0.03148em;">k</span></span></span></span></span><span class="vlist-s">​</span></span><span class="vlist-r"><span class="vlist" style="height:0.15em;"><span></span></span></span></span></span></span><span class="mord"><span class="mord mathdefault" style="margin-right:0.07847em;">X</span><span class="msupsub"><span class="vlist-t"><span class="vlist-r"><span class="vlist" style="height:0.8413309999999999em;"><span style="top:-3.063em;margin-right:0.05em;"><span class="pstrut" style="height:2.7em;"></span><span class="sizing reset-size6 size3 mtight"><span class="mord mtight"><span class="mord mathdefault mtight" style="margin-right:0.13889em;">T</span></span></span></span></span></span></span></span></span><span class="mord mathdefault" style="margin-right:0.07847em;">X</span><span class="mord"><span class="mord mathdefault">G</span><span class="msupsub"><span class="vlist-t vlist-t2"><span class="vlist-r"><span class="vlist" style="height:0.33610799999999996em;"><span style="top:-2.5500000000000003em;margin-left:0em;margin-right:0.05em;"><span class="pstrut" style="height:2.7em;"></span><span class="sizing reset-size6 size3 mtight"><span class="mord mtight"><span class="mord mathdefault mtight" style="margin-right:0.03148em;">k</span></span></span></span></span><span class="vlist-s">​</span></span><span class="vlist-r"><span class="vlist" style="height:0.15em;"><span></span></span></span></span></span></span><span class="mord">.</span></span></span></span></li>
<li>均方误差矩阵：<span class="katex"><span class="katex-mathml"><math xmlns="http://www.w3.org/1998/Math/MathML"><semantics><mrow><mi>M</mi><mo stretchy="false">(</mo><msub><mi>β</mi><mrow><mi>r</mi><mi>i</mi><mi>d</mi><mi>g</mi><mi>e</mi></mrow></msub><mo separator="true">,</mo><mi>β</mi><mo stretchy="false">)</mo><mo>=</mo><msub><mi>G</mi><mi>k</mi></msub><mo stretchy="false">(</mo><msup><mi>σ</mi><mn>2</mn></msup><msup><mi>X</mi><mi>T</mi></msup><mi>X</mi><mo>+</mo><msup><mi>k</mi><mn>2</mn></msup><mi>β</mi><msup><mi>β</mi><mi>T</mi></msup><mo stretchy="false">)</mo><msub><mi>G</mi><mi>k</mi></msub><mi mathvariant="normal">.</mi></mrow><annotation encoding="application/x-tex">M(\beta_{ridge}, \beta) = G_{k}(\sigma^{2}X^{T}X + k^{2}\beta\beta^{T})G_{k}.</annotation></semantics></math></span><span class="katex-html" aria-hidden="true"><span class="base"><span class="strut" style="height:1.036108em;vertical-align:-0.286108em;"></span><span class="mord mathdefault" style="margin-right:0.10903em;">M</span><span class="mopen">(</span><span class="mord"><span class="mord mathdefault" style="margin-right:0.05278em;">β</span><span class="msupsub"><span class="vlist-t vlist-t2"><span class="vlist-r"><span class="vlist" style="height:0.3361079999999999em;"><span style="top:-2.5500000000000003em;margin-left:-0.05278em;margin-right:0.05em;"><span class="pstrut" style="height:2.7em;"></span><span class="sizing reset-size6 size3 mtight"><span class="mord mtight"><span class="mord mathdefault mtight" style="margin-right:0.02778em;">r</span><span class="mord mathdefault mtight">i</span><span class="mord mathdefault mtight">d</span><span class="mord mathdefault mtight" style="margin-right:0.03588em;">g</span><span class="mord mathdefault mtight">e</span></span></span></span></span><span class="vlist-s">​</span></span><span class="vlist-r"><span class="vlist" style="height:0.286108em;"><span></span></span></span></span></span></span><span class="mpunct">,</span><span class="mspace" style="margin-right:0.16666666666666666em;"></span><span class="mord mathdefault" style="margin-right:0.05278em;">β</span><span class="mclose">)</span><span class="mspace" style="margin-right:0.2777777777777778em;"></span><span class="mrel">=</span><span class="mspace" style="margin-right:0.2777777777777778em;"></span></span><span class="base"><span class="strut" style="height:1.0913309999999998em;vertical-align:-0.25em;"></span><span class="mord"><span class="mord mathdefault">G</span><span class="msupsub"><span class="vlist-t vlist-t2"><span class="vlist-r"><span class="vlist" style="height:0.33610799999999996em;"><span style="top:-2.5500000000000003em;margin-left:0em;margin-right:0.05em;"><span class="pstrut" style="height:2.7em;"></span><span class="sizing reset-size6 size3 mtight"><span class="mord mtight"><span class="mord mathdefault mtight" style="margin-right:0.03148em;">k</span></span></span></span></span><span class="vlist-s">​</span></span><span class="vlist-r"><span class="vlist" style="height:0.15em;"><span></span></span></span></span></span></span><span class="mopen">(</span><span class="mord"><span class="mord mathdefault" style="margin-right:0.03588em;">σ</span><span class="msupsub"><span class="vlist-t"><span class="vlist-r"><span class="vlist" style="height:0.8141079999999999em;"><span style="top:-3.063em;margin-right:0.05em;"><span class="pstrut" style="height:2.7em;"></span><span class="sizing reset-size6 size3 mtight"><span class="mord mtight"><span class="mord mtight">2</span></span></span></span></span></span></span></span></span><span class="mord"><span class="mord mathdefault" style="margin-right:0.07847em;">X</span><span class="msupsub"><span class="vlist-t"><span class="vlist-r"><span class="vlist" style="height:0.8413309999999999em;"><span style="top:-3.063em;margin-right:0.05em;"><span class="pstrut" style="height:2.7em;"></span><span class="sizing reset-size6 size3 mtight"><span class="mord mtight"><span class="mord mathdefault mtight" style="margin-right:0.13889em;">T</span></span></span></span></span></span></span></span></span><span class="mord mathdefault" style="margin-right:0.07847em;">X</span><span class="mspace" style="margin-right:0.2222222222222222em;"></span><span class="mbin">+</span><span class="mspace" style="margin-right:0.2222222222222222em;"></span></span><span class="base"><span class="strut" style="height:1.0913309999999998em;vertical-align:-0.25em;"></span><span class="mord"><span class="mord mathdefault" style="margin-right:0.03148em;">k</span><span class="msupsub"><span class="vlist-t"><span class="vlist-r"><span class="vlist" style="height:0.8141079999999999em;"><span style="top:-3.063em;margin-right:0.05em;"><span class="pstrut" style="height:2.7em;"></span><span class="sizing reset-size6 size3 mtight"><span class="mord mtight"><span class="mord mtight">2</span></span></span></span></span></span></span></span></span><span class="mord mathdefault" style="margin-right:0.05278em;">β</span><span class="mord"><span class="mord mathdefault" style="margin-right:0.05278em;">β</span><span class="msupsub"><span class="vlist-t"><span class="vlist-r"><span class="vlist" style="height:0.8413309999999999em;"><span style="top:-3.063em;margin-right:0.05em;"><span class="pstrut" style="height:2.7em;"></span><span class="sizing reset-size6 size3 mtight"><span class="mord mtight"><span class="mord mathdefault mtight" style="margin-right:0.13889em;">T</span></span></span></span></span></span></span></span></span><span class="mclose">)</span><span class="mord"><span class="mord mathdefault">G</span><span class="msupsub"><span class="vlist-t vlist-t2"><span class="vlist-r"><span class="vlist" style="height:0.33610799999999996em;"><span style="top:-2.5500000000000003em;margin-left:0em;margin-right:0.05em;"><span class="pstrut" style="height:2.7em;"></span><span class="sizing reset-size6 size3 mtight"><span class="mord mtight"><span class="mord mathdefault mtight" style="margin-right:0.03148em;">k</span></span></span></span></span><span class="vlist-s">​</span></span><span class="vlist-r"><span class="vlist" style="height:0.15em;"><span></span></span></span></span></span></span><span class="mord">.</span></span></span></span></li>
</ul>
<p><strong>证明：</strong></p>
<p>首先引入记号：</p>
<p class='katex-block'><span class="katex-display"><span class="katex"><span class="katex-mathml"><math xmlns="http://www.w3.org/1998/Math/MathML"><semantics><mrow><msub><mi>G</mi><mi>k</mi></msub><mo>=</mo><mo stretchy="false">(</mo><msup><mi>X</mi><mi>T</mi></msup><mi>X</mi><mo>+</mo><mi>k</mi><mi>I</mi><msup><mo stretchy="false">)</mo><mrow><mo>−</mo><mn>1</mn></mrow></msup><mi mathvariant="normal">.</mi></mrow><annotation encoding="application/x-tex">G_{k} = (X^{T}X + kI)^{-1}.
</annotation></semantics></math></span><span class="katex-html" aria-hidden="true"><span class="base"><span class="strut" style="height:0.83333em;vertical-align:-0.15em;"></span><span class="mord"><span class="mord mathdefault">G</span><span class="msupsub"><span class="vlist-t vlist-t2"><span class="vlist-r"><span class="vlist" style="height:0.33610799999999996em;"><span style="top:-2.5500000000000003em;margin-left:0em;margin-right:0.05em;"><span class="pstrut" style="height:2.7em;"></span><span class="sizing reset-size6 size3 mtight"><span class="mord mtight"><span class="mord mathdefault mtight" style="margin-right:0.03148em;">k</span></span></span></span></span><span class="vlist-s">​</span></span><span class="vlist-r"><span class="vlist" style="height:0.15em;"><span></span></span></span></span></span></span><span class="mspace" style="margin-right:0.2777777777777778em;"></span><span class="mrel">=</span><span class="mspace" style="margin-right:0.2777777777777778em;"></span></span><span class="base"><span class="strut" style="height:1.1413309999999999em;vertical-align:-0.25em;"></span><span class="mopen">(</span><span class="mord"><span class="mord mathdefault" style="margin-right:0.07847em;">X</span><span class="msupsub"><span class="vlist-t"><span class="vlist-r"><span class="vlist" style="height:0.8913309999999999em;"><span style="top:-3.113em;margin-right:0.05em;"><span class="pstrut" style="height:2.7em;"></span><span class="sizing reset-size6 size3 mtight"><span class="mord mtight"><span class="mord mathdefault mtight" style="margin-right:0.13889em;">T</span></span></span></span></span></span></span></span></span><span class="mord mathdefault" style="margin-right:0.07847em;">X</span><span class="mspace" style="margin-right:0.2222222222222222em;"></span><span class="mbin">+</span><span class="mspace" style="margin-right:0.2222222222222222em;"></span></span><span class="base"><span class="strut" style="height:1.1141079999999999em;vertical-align:-0.25em;"></span><span class="mord mathdefault" style="margin-right:0.03148em;">k</span><span class="mord mathdefault" style="margin-right:0.07847em;">I</span><span class="mclose"><span class="mclose">)</span><span class="msupsub"><span class="vlist-t"><span class="vlist-r"><span class="vlist" style="height:0.864108em;"><span style="top:-3.113em;margin-right:0.05em;"><span class="pstrut" style="height:2.7em;"></span><span class="sizing reset-size6 size3 mtight"><span class="mord mtight"><span class="mord mtight">−</span><span class="mord mtight">1</span></span></span></span></span></span></span></span></span><span class="mord">.</span></span></span></span></span></p>
<p>均值向量与偏差向量：</p>
<p class='katex-block'><span class="katex-display"><span class="katex"><span class="katex-mathml"><math xmlns="http://www.w3.org/1998/Math/MathML"><semantics><mtable rowspacing="0.24999999999999992em" columnalign="right left" columnspacing="0em"><mtr><mtd><mstyle scriptlevel="0" displaystyle="true"><mrow><mi>E</mi><mo stretchy="false">(</mo><msub><mi>β</mi><mrow><mi>r</mi><mi>i</mi><mi>d</mi><mi>g</mi><mi>e</mi></mrow></msub><mo stretchy="false">)</mo></mrow></mstyle></mtd><mtd><mstyle scriptlevel="0" displaystyle="true"><mrow><mrow></mrow><mo>=</mo><msub><mi>G</mi><mi>k</mi></msub><msup><mi>X</mi><mi>T</mi></msup><mi>X</mi><mi>β</mi><mo>−</mo><mi>β</mi><mo>+</mo><mi>β</mi></mrow></mstyle></mtd></mtr><mtr><mtd><mstyle scriptlevel="0" displaystyle="true"><mrow></mrow></mstyle></mtd><mtd><mstyle scriptlevel="0" displaystyle="true"><mrow><mrow></mrow><mo>=</mo><mi>β</mi><mo>+</mo><mo stretchy="false">(</mo><msub><mi>G</mi><mi>k</mi></msub><msup><mi>X</mi><mi>T</mi></msup><mi>X</mi><mo>−</mo><mi>I</mi><mo stretchy="false">)</mo><mi>β</mi></mrow></mstyle></mtd></mtr><mtr><mtd><mstyle scriptlevel="0" displaystyle="true"><mrow></mrow></mstyle></mtd><mtd><mstyle scriptlevel="0" displaystyle="true"><mrow><mrow></mrow><mo>=</mo><mi>β</mi><mo>+</mo><mo stretchy="false">(</mo><msub><mi>G</mi><mi>k</mi></msub><msup><mi>X</mi><mi>T</mi></msup><mi>X</mi><mo>−</mo><msub><mi>G</mi><mi>k</mi></msub><msubsup><mi>G</mi><mi>k</mi><mrow><mo>−</mo><mn>1</mn></mrow></msubsup><mo stretchy="false">)</mo><mi>β</mi></mrow></mstyle></mtd></mtr><mtr><mtd><mstyle scriptlevel="0" displaystyle="true"><mrow></mrow></mstyle></mtd><mtd><mstyle scriptlevel="0" displaystyle="true"><mrow><mrow></mrow><mo>=</mo><mi>β</mi><mo>+</mo><msub><mi>G</mi><mi>k</mi></msub><mo stretchy="false">(</mo><msup><mi>X</mi><mi>T</mi></msup><mi>X</mi><mo>−</mo><msubsup><mi>G</mi><mi>k</mi><mrow><mo>−</mo><mn>1</mn></mrow></msubsup><mo stretchy="false">)</mo><mi>β</mi></mrow></mstyle></mtd></mtr><mtr><mtd><mstyle scriptlevel="0" displaystyle="true"><mrow></mrow></mstyle></mtd><mtd><mstyle scriptlevel="0" displaystyle="true"><mrow><mrow></mrow><mo>=</mo><mi>β</mi><mo>+</mo><msub><mi>G</mi><mi>k</mi></msub><mo stretchy="false">(</mo><msup><mi>X</mi><mi>T</mi></msup><mi>X</mi><mo>−</mo><msup><mi>X</mi><mi>T</mi></msup><mi>X</mi><mo>−</mo><mi>k</mi><mi>I</mi><mo stretchy="false">)</mo><mi>β</mi></mrow></mstyle></mtd></mtr><mtr><mtd><mstyle scriptlevel="0" displaystyle="true"><mrow></mrow></mstyle></mtd><mtd><mstyle scriptlevel="0" displaystyle="true"><mrow><mrow></mrow><mo>=</mo><mi>β</mi><mo>−</mo><mi>k</mi><msub><mi>G</mi><mi>k</mi></msub><mi>β</mi><mi mathvariant="normal">.</mi></mrow></mstyle></mtd></mtr></mtable><annotation encoding="application/x-tex">\begin{aligned}
    E(\beta_{ridge}) &amp;= G_{k}X^{T}X\beta - \beta + \beta \\
                        &amp;= \beta + (G_{k}X^{T}X - I)\beta\\
                        &amp;= \beta + (G_{k}X^{T}X - G_{k}G_{k}^{-1})\beta \\
                        &amp;= \beta + G_{k}(X^{T}X - G_{k}^{-1})\beta \\
                        &amp;= \beta + G_{k}(X^{T}X-X^{T}X-kI)\beta \\
                        &amp;= \beta - kG_{k}\beta.
\end{aligned}
</annotation></semantics></math></span><span class="katex-html" aria-hidden="true"><span class="base"><span class="strut" style="height:9.256655em;vertical-align:-4.3783275em;"></span><span class="mord"><span class="mtable"><span class="col-align-r"><span class="vlist-t vlist-t2"><span class="vlist-r"><span class="vlist" style="height:4.8783275em;"><span style="top:-6.9869965em;"><span class="pstrut" style="height:3em;"></span><span class="mord"><span class="mord mathdefault" style="margin-right:0.05764em;">E</span><span class="mopen">(</span><span class="mord"><span class="mord mathdefault" style="margin-right:0.05278em;">β</span><span class="msupsub"><span class="vlist-t vlist-t2"><span class="vlist-r"><span class="vlist" style="height:0.3361079999999999em;"><span style="top:-2.5500000000000003em;margin-left:-0.05278em;margin-right:0.05em;"><span class="pstrut" style="height:2.7em;"></span><span class="sizing reset-size6 size3 mtight"><span class="mord mtight"><span class="mord mathdefault mtight" style="margin-right:0.02778em;">r</span><span class="mord mathdefault mtight">i</span><span class="mord mathdefault mtight">d</span><span class="mord mathdefault mtight" style="margin-right:0.03588em;">g</span><span class="mord mathdefault mtight">e</span></span></span></span></span><span class="vlist-s">​</span></span><span class="vlist-r"><span class="vlist" style="height:0.286108em;"><span></span></span></span></span></span></span><span class="mclose">)</span></span></span><span style="top:-5.435665500000001em;"><span class="pstrut" style="height:3em;"></span><span class="mord"></span></span><span style="top:-3.8843345000000014em;"><span class="pstrut" style="height:3em;"></span><span class="mord"></span></span><span style="top:-2.333003500000001em;"><span class="pstrut" style="height:3em;"></span><span class="mord"></span></span><span style="top:-0.7816725000000004em;"><span class="pstrut" style="height:3em;"></span><span class="mord"></span></span><span style="top:0.7183275em;"><span class="pstrut" style="height:3em;"></span><span class="mord"></span></span></span><span class="vlist-s">​</span></span><span class="vlist-r"><span class="vlist" style="height:4.3783275em;"><span></span></span></span></span></span><span class="col-align-l"><span class="vlist-t vlist-t2"><span class="vlist-r"><span class="vlist" style="height:4.8783275em;"><span style="top:-6.9869965em;"><span class="pstrut" style="height:3em;"></span><span class="mord"><span class="mord"></span><span class="mspace" style="margin-right:0.2777777777777778em;"></span><span class="mrel">=</span><span class="mspace" style="margin-right:0.2777777777777778em;"></span><span class="mord"><span class="mord mathdefault">G</span><span class="msupsub"><span class="vlist-t vlist-t2"><span class="vlist-r"><span class="vlist" style="height:0.33610799999999996em;"><span style="top:-2.5500000000000003em;margin-left:0em;margin-right:0.05em;"><span class="pstrut" style="height:2.7em;"></span><span class="sizing reset-size6 size3 mtight"><span class="mord mtight"><span class="mord mathdefault mtight" style="margin-right:0.03148em;">k</span></span></span></span></span><span class="vlist-s">​</span></span><span class="vlist-r"><span class="vlist" style="height:0.15em;"><span></span></span></span></span></span></span><span class="mord"><span class="mord mathdefault" style="margin-right:0.07847em;">X</span><span class="msupsub"><span class="vlist-t"><span class="vlist-r"><span class="vlist" style="height:0.8913309999999999em;"><span style="top:-3.113em;margin-right:0.05em;"><span class="pstrut" style="height:2.7em;"></span><span class="sizing reset-size6 size3 mtight"><span class="mord mtight"><span class="mord mathdefault mtight" style="margin-right:0.13889em;">T</span></span></span></span></span></span></span></span></span><span class="mord mathdefault" style="margin-right:0.07847em;">X</span><span class="mord mathdefault" style="margin-right:0.05278em;">β</span><span class="mspace" style="margin-right:0.2222222222222222em;"></span><span class="mbin">−</span><span class="mspace" style="margin-right:0.2222222222222222em;"></span><span class="mord mathdefault" style="margin-right:0.05278em;">β</span><span class="mspace" style="margin-right:0.2222222222222222em;"></span><span class="mbin">+</span><span class="mspace" style="margin-right:0.2222222222222222em;"></span><span class="mord mathdefault" style="margin-right:0.05278em;">β</span></span></span><span style="top:-5.435665500000001em;"><span class="pstrut" style="height:3em;"></span><span class="mord"><span class="mord"></span><span class="mspace" style="margin-right:0.2777777777777778em;"></span><span class="mrel">=</span><span class="mspace" style="margin-right:0.2777777777777778em;"></span><span class="mord mathdefault" style="margin-right:0.05278em;">β</span><span class="mspace" style="margin-right:0.2222222222222222em;"></span><span class="mbin">+</span><span class="mspace" style="margin-right:0.2222222222222222em;"></span><span class="mopen">(</span><span class="mord"><span class="mord mathdefault">G</span><span class="msupsub"><span class="vlist-t vlist-t2"><span class="vlist-r"><span class="vlist" style="height:0.33610799999999996em;"><span style="top:-2.5500000000000003em;margin-left:0em;margin-right:0.05em;"><span class="pstrut" style="height:2.7em;"></span><span class="sizing reset-size6 size3 mtight"><span class="mord mtight"><span class="mord mathdefault mtight" style="margin-right:0.03148em;">k</span></span></span></span></span><span class="vlist-s">​</span></span><span class="vlist-r"><span class="vlist" style="height:0.15em;"><span></span></span></span></span></span></span><span class="mord"><span class="mord mathdefault" style="margin-right:0.07847em;">X</span><span class="msupsub"><span class="vlist-t"><span class="vlist-r"><span class="vlist" style="height:0.8913309999999999em;"><span style="top:-3.113em;margin-right:0.05em;"><span class="pstrut" style="height:2.7em;"></span><span class="sizing reset-size6 size3 mtight"><span class="mord mtight"><span class="mord mathdefault mtight" style="margin-right:0.13889em;">T</span></span></span></span></span></span></span></span></span><span class="mord mathdefault" style="margin-right:0.07847em;">X</span><span class="mspace" style="margin-right:0.2222222222222222em;"></span><span class="mbin">−</span><span class="mspace" style="margin-right:0.2222222222222222em;"></span><span class="mord mathdefault" style="margin-right:0.07847em;">I</span><span class="mclose">)</span><span class="mord mathdefault" style="margin-right:0.05278em;">β</span></span></span><span style="top:-3.8843345000000014em;"><span class="pstrut" style="height:3em;"></span><span class="mord"><span class="mord"></span><span class="mspace" style="margin-right:0.2777777777777778em;"></span><span class="mrel">=</span><span class="mspace" style="margin-right:0.2777777777777778em;"></span><span class="mord mathdefault" style="margin-right:0.05278em;">β</span><span class="mspace" style="margin-right:0.2222222222222222em;"></span><span class="mbin">+</span><span class="mspace" style="margin-right:0.2222222222222222em;"></span><span class="mopen">(</span><span class="mord"><span class="mord mathdefault">G</span><span class="msupsub"><span class="vlist-t vlist-t2"><span class="vlist-r"><span class="vlist" style="height:0.33610799999999996em;"><span style="top:-2.5500000000000003em;margin-left:0em;margin-right:0.05em;"><span class="pstrut" style="height:2.7em;"></span><span class="sizing reset-size6 size3 mtight"><span class="mord mtight"><span class="mord mathdefault mtight" style="margin-right:0.03148em;">k</span></span></span></span></span><span class="vlist-s">​</span></span><span class="vlist-r"><span class="vlist" style="height:0.15em;"><span></span></span></span></span></span></span><span class="mord"><span class="mord mathdefault" style="margin-right:0.07847em;">X</span><span class="msupsub"><span class="vlist-t"><span class="vlist-r"><span class="vlist" style="height:0.8913309999999999em;"><span style="top:-3.113em;margin-right:0.05em;"><span class="pstrut" style="height:2.7em;"></span><span class="sizing reset-size6 size3 mtight"><span class="mord mtight"><span class="mord mathdefault mtight" style="margin-right:0.13889em;">T</span></span></span></span></span></span></span></span></span><span class="mord mathdefault" style="margin-right:0.07847em;">X</span><span class="mspace" style="margin-right:0.2222222222222222em;"></span><span class="mbin">−</span><span class="mspace" style="margin-right:0.2222222222222222em;"></span><span class="mord"><span class="mord mathdefault">G</span><span class="msupsub"><span class="vlist-t vlist-t2"><span class="vlist-r"><span class="vlist" style="height:0.33610799999999996em;"><span style="top:-2.5500000000000003em;margin-left:0em;margin-right:0.05em;"><span class="pstrut" style="height:2.7em;"></span><span class="sizing reset-size6 size3 mtight"><span class="mord mtight"><span class="mord mathdefault mtight" style="margin-right:0.03148em;">k</span></span></span></span></span><span class="vlist-s">​</span></span><span class="vlist-r"><span class="vlist" style="height:0.15em;"><span></span></span></span></span></span></span><span class="mord"><span class="mord mathdefault">G</span><span class="msupsub"><span class="vlist-t vlist-t2"><span class="vlist-r"><span class="vlist" style="height:0.8641079999999999em;"><span style="top:-2.408561em;margin-left:0em;margin-right:0.05em;"><span class="pstrut" style="height:2.7em;"></span><span class="sizing reset-size6 size3 mtight"><span class="mord mtight"><span class="mord mathdefault mtight" style="margin-right:0.03148em;">k</span></span></span></span><span style="top:-3.113em;margin-right:0.05em;"><span class="pstrut" style="height:2.7em;"></span><span class="sizing reset-size6 size3 mtight"><span class="mord mtight"><span class="mord mtight">−</span><span class="mord mtight">1</span></span></span></span></span><span class="vlist-s">​</span></span><span class="vlist-r"><span class="vlist" style="height:0.2914389999999999em;"><span></span></span></span></span></span></span><span class="mclose">)</span><span class="mord mathdefault" style="margin-right:0.05278em;">β</span></span></span><span style="top:-2.333003500000001em;"><span class="pstrut" style="height:3em;"></span><span class="mord"><span class="mord"></span><span class="mspace" style="margin-right:0.2777777777777778em;"></span><span class="mrel">=</span><span class="mspace" style="margin-right:0.2777777777777778em;"></span><span class="mord mathdefault" style="margin-right:0.05278em;">β</span><span class="mspace" style="margin-right:0.2222222222222222em;"></span><span class="mbin">+</span><span class="mspace" style="margin-right:0.2222222222222222em;"></span><span class="mord"><span class="mord mathdefault">G</span><span class="msupsub"><span class="vlist-t vlist-t2"><span class="vlist-r"><span class="vlist" style="height:0.33610799999999996em;"><span style="top:-2.5500000000000003em;margin-left:0em;margin-right:0.05em;"><span class="pstrut" style="height:2.7em;"></span><span class="sizing reset-size6 size3 mtight"><span class="mord mtight"><span class="mord mathdefault mtight" style="margin-right:0.03148em;">k</span></span></span></span></span><span class="vlist-s">​</span></span><span class="vlist-r"><span class="vlist" style="height:0.15em;"><span></span></span></span></span></span></span><span class="mopen">(</span><span class="mord"><span class="mord mathdefault" style="margin-right:0.07847em;">X</span><span class="msupsub"><span class="vlist-t"><span class="vlist-r"><span class="vlist" style="height:0.8913309999999999em;"><span style="top:-3.113em;margin-right:0.05em;"><span class="pstrut" style="height:2.7em;"></span><span class="sizing reset-size6 size3 mtight"><span class="mord mtight"><span class="mord mathdefault mtight" style="margin-right:0.13889em;">T</span></span></span></span></span></span></span></span></span><span class="mord mathdefault" style="margin-right:0.07847em;">X</span><span class="mspace" style="margin-right:0.2222222222222222em;"></span><span class="mbin">−</span><span class="mspace" style="margin-right:0.2222222222222222em;"></span><span class="mord"><span class="mord mathdefault">G</span><span class="msupsub"><span class="vlist-t vlist-t2"><span class="vlist-r"><span class="vlist" style="height:0.8641079999999999em;"><span style="top:-2.408561em;margin-left:0em;margin-right:0.05em;"><span class="pstrut" style="height:2.7em;"></span><span class="sizing reset-size6 size3 mtight"><span class="mord mtight"><span class="mord mathdefault mtight" style="margin-right:0.03148em;">k</span></span></span></span><span style="top:-3.113em;margin-right:0.05em;"><span class="pstrut" style="height:2.7em;"></span><span class="sizing reset-size6 size3 mtight"><span class="mord mtight"><span class="mord mtight">−</span><span class="mord mtight">1</span></span></span></span></span><span class="vlist-s">​</span></span><span class="vlist-r"><span class="vlist" style="height:0.2914389999999999em;"><span></span></span></span></span></span></span><span class="mclose">)</span><span class="mord mathdefault" style="margin-right:0.05278em;">β</span></span></span><span style="top:-0.7816725000000004em;"><span class="pstrut" style="height:3em;"></span><span class="mord"><span class="mord"></span><span class="mspace" style="margin-right:0.2777777777777778em;"></span><span class="mrel">=</span><span class="mspace" style="margin-right:0.2777777777777778em;"></span><span class="mord mathdefault" style="margin-right:0.05278em;">β</span><span class="mspace" style="margin-right:0.2222222222222222em;"></span><span class="mbin">+</span><span class="mspace" style="margin-right:0.2222222222222222em;"></span><span class="mord"><span class="mord mathdefault">G</span><span class="msupsub"><span class="vlist-t vlist-t2"><span class="vlist-r"><span class="vlist" style="height:0.33610799999999996em;"><span style="top:-2.5500000000000003em;margin-left:0em;margin-right:0.05em;"><span class="pstrut" style="height:2.7em;"></span><span class="sizing reset-size6 size3 mtight"><span class="mord mtight"><span class="mord mathdefault mtight" style="margin-right:0.03148em;">k</span></span></span></span></span><span class="vlist-s">​</span></span><span class="vlist-r"><span class="vlist" style="height:0.15em;"><span></span></span></span></span></span></span><span class="mopen">(</span><span class="mord"><span class="mord mathdefault" style="margin-right:0.07847em;">X</span><span class="msupsub"><span class="vlist-t"><span class="vlist-r"><span class="vlist" style="height:0.8913309999999999em;"><span style="top:-3.113em;margin-right:0.05em;"><span class="pstrut" style="height:2.7em;"></span><span class="sizing reset-size6 size3 mtight"><span class="mord mtight"><span class="mord mathdefault mtight" style="margin-right:0.13889em;">T</span></span></span></span></span></span></span></span></span><span class="mord mathdefault" style="margin-right:0.07847em;">X</span><span class="mspace" style="margin-right:0.2222222222222222em;"></span><span class="mbin">−</span><span class="mspace" style="margin-right:0.2222222222222222em;"></span><span class="mord"><span class="mord mathdefault" style="margin-right:0.07847em;">X</span><span class="msupsub"><span class="vlist-t"><span class="vlist-r"><span class="vlist" style="height:0.8913309999999999em;"><span style="top:-3.113em;margin-right:0.05em;"><span class="pstrut" style="height:2.7em;"></span><span class="sizing reset-size6 size3 mtight"><span class="mord mtight"><span class="mord mathdefault mtight" style="margin-right:0.13889em;">T</span></span></span></span></span></span></span></span></span><span class="mord mathdefault" style="margin-right:0.07847em;">X</span><span class="mspace" style="margin-right:0.2222222222222222em;"></span><span class="mbin">−</span><span class="mspace" style="margin-right:0.2222222222222222em;"></span><span class="mord mathdefault" style="margin-right:0.03148em;">k</span><span class="mord mathdefault" style="margin-right:0.07847em;">I</span><span class="mclose">)</span><span class="mord mathdefault" style="margin-right:0.05278em;">β</span></span></span><span style="top:0.7183275em;"><span class="pstrut" style="height:3em;"></span><span class="mord"><span class="mord"></span><span class="mspace" style="margin-right:0.2777777777777778em;"></span><span class="mrel">=</span><span class="mspace" style="margin-right:0.2777777777777778em;"></span><span class="mord mathdefault" style="margin-right:0.05278em;">β</span><span class="mspace" style="margin-right:0.2222222222222222em;"></span><span class="mbin">−</span><span class="mspace" style="margin-right:0.2222222222222222em;"></span><span class="mord mathdefault" style="margin-right:0.03148em;">k</span><span class="mord"><span class="mord mathdefault">G</span><span class="msupsub"><span class="vlist-t vlist-t2"><span class="vlist-r"><span class="vlist" style="height:0.33610799999999996em;"><span style="top:-2.5500000000000003em;margin-left:0em;margin-right:0.05em;"><span class="pstrut" style="height:2.7em;"></span><span class="sizing reset-size6 size3 mtight"><span class="mord mtight"><span class="mord mathdefault mtight" style="margin-right:0.03148em;">k</span></span></span></span></span><span class="vlist-s">​</span></span><span class="vlist-r"><span class="vlist" style="height:0.15em;"><span></span></span></span></span></span></span><span class="mord mathdefault" style="margin-right:0.05278em;">β</span><span class="mord">.</span></span></span></span><span class="vlist-s">​</span></span><span class="vlist-r"><span class="vlist" style="height:4.3783275em;"><span></span></span></span></span></span></span></span></span></span></span></span></p>
<p>偏差</p>
<p class='katex-block'><span class="katex-display"><span class="katex"><span class="katex-mathml"><math xmlns="http://www.w3.org/1998/Math/MathML"><semantics><mtable rowspacing="0.24999999999999992em" columnalign="right left" columnspacing="0em"><mtr><mtd><mstyle scriptlevel="0" displaystyle="true"><mrow><mi>E</mi><mo stretchy="false">(</mo><msub><mi>β</mi><mrow><mi>r</mi><mi>i</mi><mi>d</mi><mi>g</mi><mi>e</mi></mrow></msub><mo stretchy="false">)</mo><mo>−</mo><mi>β</mi></mrow></mstyle></mtd><mtd><mstyle scriptlevel="0" displaystyle="true"><mrow><mrow></mrow><mo>=</mo><mi>β</mi><mo>−</mo><mi>k</mi><msub><mi>G</mi><mi>k</mi></msub><mi>β</mi><mo>−</mo><mi>β</mi></mrow></mstyle></mtd></mtr><mtr><mtd><mstyle scriptlevel="0" displaystyle="true"><mrow></mrow></mstyle></mtd><mtd><mstyle scriptlevel="0" displaystyle="true"><mrow><mrow></mrow><mo>=</mo><mo>−</mo><mi>k</mi><msub><mi>G</mi><mi>k</mi></msub><mi>β</mi><mi mathvariant="normal">.</mi></mrow></mstyle></mtd></mtr></mtable><annotation encoding="application/x-tex">\begin{aligned}
E(\beta_{ridge}) - \beta &amp; = \beta - kG_{k}\beta - \beta \\
&amp; = -kG_{k}\beta .
\end{aligned}
</annotation></semantics></math></span><span class="katex-html" aria-hidden="true"><span class="base"><span class="strut" style="height:3.0000000000000004em;vertical-align:-1.2500000000000002em;"></span><span class="mord"><span class="mtable"><span class="col-align-r"><span class="vlist-t vlist-t2"><span class="vlist-r"><span class="vlist" style="height:1.7500000000000002em;"><span style="top:-3.91em;"><span class="pstrut" style="height:3em;"></span><span class="mord"><span class="mord mathdefault" style="margin-right:0.05764em;">E</span><span class="mopen">(</span><span class="mord"><span class="mord mathdefault" style="margin-right:0.05278em;">β</span><span class="msupsub"><span class="vlist-t vlist-t2"><span class="vlist-r"><span class="vlist" style="height:0.3361079999999999em;"><span style="top:-2.5500000000000003em;margin-left:-0.05278em;margin-right:0.05em;"><span class="pstrut" style="height:2.7em;"></span><span class="sizing reset-size6 size3 mtight"><span class="mord mtight"><span class="mord mathdefault mtight" style="margin-right:0.02778em;">r</span><span class="mord mathdefault mtight">i</span><span class="mord mathdefault mtight">d</span><span class="mord mathdefault mtight" style="margin-right:0.03588em;">g</span><span class="mord mathdefault mtight">e</span></span></span></span></span><span class="vlist-s">​</span></span><span class="vlist-r"><span class="vlist" style="height:0.286108em;"><span></span></span></span></span></span></span><span class="mclose">)</span><span class="mspace" style="margin-right:0.2222222222222222em;"></span><span class="mbin">−</span><span class="mspace" style="margin-right:0.2222222222222222em;"></span><span class="mord mathdefault" style="margin-right:0.05278em;">β</span></span></span><span style="top:-2.41em;"><span class="pstrut" style="height:3em;"></span><span class="mord"></span></span></span><span class="vlist-s">​</span></span><span class="vlist-r"><span class="vlist" style="height:1.2500000000000002em;"><span></span></span></span></span></span><span class="col-align-l"><span class="vlist-t vlist-t2"><span class="vlist-r"><span class="vlist" style="height:1.7500000000000002em;"><span style="top:-3.91em;"><span class="pstrut" style="height:3em;"></span><span class="mord"><span class="mord"></span><span class="mspace" style="margin-right:0.2777777777777778em;"></span><span class="mrel">=</span><span class="mspace" style="margin-right:0.2777777777777778em;"></span><span class="mord mathdefault" style="margin-right:0.05278em;">β</span><span class="mspace" style="margin-right:0.2222222222222222em;"></span><span class="mbin">−</span><span class="mspace" style="margin-right:0.2222222222222222em;"></span><span class="mord mathdefault" style="margin-right:0.03148em;">k</span><span class="mord"><span class="mord mathdefault">G</span><span class="msupsub"><span class="vlist-t vlist-t2"><span class="vlist-r"><span class="vlist" style="height:0.33610799999999996em;"><span style="top:-2.5500000000000003em;margin-left:0em;margin-right:0.05em;"><span class="pstrut" style="height:2.7em;"></span><span class="sizing reset-size6 size3 mtight"><span class="mord mtight"><span class="mord mathdefault mtight" style="margin-right:0.03148em;">k</span></span></span></span></span><span class="vlist-s">​</span></span><span class="vlist-r"><span class="vlist" style="height:0.15em;"><span></span></span></span></span></span></span><span class="mord mathdefault" style="margin-right:0.05278em;">β</span><span class="mspace" style="margin-right:0.2222222222222222em;"></span><span class="mbin">−</span><span class="mspace" style="margin-right:0.2222222222222222em;"></span><span class="mord mathdefault" style="margin-right:0.05278em;">β</span></span></span><span style="top:-2.41em;"><span class="pstrut" style="height:3em;"></span><span class="mord"><span class="mord"></span><span class="mspace" style="margin-right:0.2777777777777778em;"></span><span class="mrel">=</span><span class="mspace" style="margin-right:0.2777777777777778em;"></span><span class="mord">−</span><span class="mord mathdefault" style="margin-right:0.03148em;">k</span><span class="mord"><span class="mord mathdefault">G</span><span class="msupsub"><span class="vlist-t vlist-t2"><span class="vlist-r"><span class="vlist" style="height:0.33610799999999996em;"><span style="top:-2.5500000000000003em;margin-left:0em;margin-right:0.05em;"><span class="pstrut" style="height:2.7em;"></span><span class="sizing reset-size6 size3 mtight"><span class="mord mtight"><span class="mord mathdefault mtight" style="margin-right:0.03148em;">k</span></span></span></span></span><span class="vlist-s">​</span></span><span class="vlist-r"><span class="vlist" style="height:0.15em;"><span></span></span></span></span></span></span><span class="mord mathdefault" style="margin-right:0.05278em;">β</span><span class="mord">.</span></span></span></span><span class="vlist-s">​</span></span><span class="vlist-r"><span class="vlist" style="height:1.2500000000000002em;"><span></span></span></span></span></span></span></span></span></span></span></span></p>

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